Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0191 |
| Annualized Std Dev | 0.2076 |
| Annualized Sharpe (Rf=0%) | -0.0920 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4627.0000 |
| NAs | 1.0000 |
| Minimum | -0.1948 |
| Quartile 1 | -0.0040 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0045 |
| Maximum | 0.3170 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | 1.8113 |
| Kurtosis | 108.5434 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0110 |
| Loss Deviation | 0.0117 |
| Downside Deviation (MAR=210%) | 0.0138 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.7533 |
| Historical VaR (95%) | -0.0143 |
| Historical ES (95%) | -0.0302 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-01-03 | 2008-12-15 | NA | -0.7533 | 3579 | 493 | NA |
| 2002-11-12 | 2004-05-13 | 2005-07-26 | -0.1719 | 679 | 377 | 302 |
| 2005-09-13 | 2005-10-19 | 2005-12-28 | -0.0805 | 75 | 27 | 48 |
| 2006-01-25 | 2006-02-13 | 2006-03-23 | -0.0495 | 41 | 14 | 27 |
| 2006-05-08 | 2006-05-24 | 2006-07-03 | -0.0442 | 40 | 13 | 27 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0 | 0.8 | 0.8 |
| 2003 | -1.1 | -0.6 | -0.4 | -0.3 | -0.1 | 0.1 | -0.5 | 0.6 | 0.4 | 0.1 | -0.2 | -0.1 | -2.1 |
| 2004 | -0.4 | 0.6 | -0.1 | 0.3 | 0.5 | 0.9 | 0.6 | 0.1 | 0.4 | 0.6 | 0.4 | 0.1 | 4 |
| 2005 | 0.1 | -0.2 | 0.1 | -0.2 | -0.1 | 0.1 | -0.3 | 0.7 | 0.4 | 0.5 | 0.1 | 0.4 | 1.5 |
| 2006 | 0.4 | 0.4 | 0 | 0 | 2.2 | 0.4 | -0.7 | -0.1 | -0.1 | 0.5 | 0.5 | 0.9 | 4.6 |
| 2007 | 0.2 | 0.1 | 0.1 | 0.4 | -0.4 | 0.7 | -0.4 | 0.9 | 0.6 | -0.9 | 0.7 | 0.7 | 2.8 |
| 2008 | 0.2 | -3.2 | 0.9 | -0.1 | -0.1 | 1.3 | -0.9 | -0.6 | 7.7 | -1.2 | -19.5 | 8.2 | -9.6 |
| 2009 | -0.7 | 1.3 | 2.2 | -1.3 | 0.4 | -3 | -2.4 | 1.6 | -0.6 | -0.3 | 0.4 | -1.1 | -3.4 |
| 2010 | -1.5 | 0.9 | 0.2 | -0.5 | 0.2 | -1.1 | -0.3 | 0.6 | 0.6 | 0.6 | -3.1 | 1.1 | -2.4 |
| 2011 | 1.5 | 1.3 | -0.2 | 0.2 | -0.8 | 0.2 | 1.8 | 0.3 | 0.1 | 0.4 | 0.2 | 0.1 | 5.3 |
| 2012 | -1.4 | 0.8 | 0.5 | 0.5 | 0.5 | 0.4 | -0.4 | 0.1 | 0.6 | -0.6 | 0 | 1.7 | 2.6 |
| 2013 | 1 | 0.1 | -0.3 | -0.1 | -1.6 | 1.5 | -0.4 | -0.6 | 0.1 | -3.3 | 0.5 | 0.5 | -2.7 |
| 2014 | 0.3 | -0.1 | -0.6 | 0.9 | -0.7 | 0 | 0.3 | 0.2 | -0.6 | 0.1 | 1.2 | 0.4 | 1.4 |
| 2015 | 0.6 | 1.4 | 0.2 | -0.5 | 0.1 | -0.2 | 0.6 | 0.3 | 0.4 | 0.1 | 1.2 | 0 | 4.2 |
| 2016 | 0.8 | 0.1 | -0.1 | -0.3 | 1.5 | 1.3 | 0.9 | 0.3 | 0.2 | 0 | -0.8 | 0 | 4 |
| 2017 | 0.6 | -0.6 | 0.1 | -0.2 | -0.7 | 0.2 | 0.2 | 0.1 | -0.3 | -0.3 | 0.9 | 0.4 | 0.3 |
| 2018 | 0.5 | 0.4 | -0.1 | 0.1 | -0.1 | 1.1 | 0.1 | 0.3 | -0.1 | 0.3 | 0.1 | 0.2 | 2.8 |
| 2019 | 0.1 | 0.8 | 1 | 0.3 | 0.3 | -0.3 | -0.1 | 0.7 | 0.9 | 0.7 | 0.4 | -0.5 | 4.5 |
| 2020 | 0 | -1.6 | -2.8 | -0.7 | 0.9 | 0.8 | 0.3 | 2 | 0.3 | 1.2 | -1.1 | -0.1 | -0.9 |
| 2021 | 0.8 | 0.8 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-10-29 15 SPY 88.6 -0.0116 -0.0106 0.0829 -0.0284 -0.176 -0.316 NA <NA> NA NA NA
2 2002-10-30 15 SPY 89.4 0.0097 -0.0085 0.0433 0.0073 -0.158 -0.300 NA <NA> NA NA NA
3 2002-10-31 15 SPY 88.5 -0.0102 0.0018 0.0646 0.0199 -0.163 -0.320 NA <NA> NA NA NA
4 2002-11-01 15 SPY 90.3 0.0198 0.0008 0.0967 0.0776 -0.168 -0.329 NA <NA> NA NA NA
5 2002-11-04 15 SPY 91.1 0.0095 0.017 0.128 0.0524 -0.166 -0.335 NA <NA> NA NA NA
6 2002-11-05 15 SPY 91.8 0.0079 0.037 0.161 0.0426 -0.170 -0.322 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
